分数Black-Scholes模型下美式亚式期权的近似定价法  

American-Style Asian Option Pricing in the Fractional Black-Scholes Model

作　　者：林汉燕[1] 袁媛[1] LIN Hanyan;YUAN Yuan(Guilin University of Aerospace Technology, Faculty of Science, Guilin 541004, Guangxi, China)

机构地区：[1]桂林航天工业学院理学部,广西桂林541004

出　　处：《汕头大学学报（自然科学版）》2017年第3期15-21,共7页Journal of Shantou University：Natural Science Edition

基　　金：广西教育厅科研项目(YB2014436)

摘　　要：在分数Black-Scholes模型下,首先应用偏微分方程法简要推导具有固定敲定价格的欧式几何平均亚式期权的定价公式,然后将标准Black-Scholes模型下美式期权定价的二次近似法推广到美式亚式期权,得到具有固定敲定价格的美式几何平均亚式期权价格的近似解析式.The formulas of the European-style geometric average Asian option with fix strike price by partial differential equation method in the fractional Black-Scholes model are derived.Based on the formulas, the classical quadratic approximation in the standard Black-Scholes model is applied to the pricing of American-style Asian option. The approximate formulas of American-style geometric average Asian option with fix strike price are obtained.

关 键 词：分数Black-Scholes模型 美式亚式期权 几何平均 二次近似法 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]